Fixed Income Haircut, Version 10.0: Summary of New Features

Charges

FINRA has proposed an ABS liquidity charge. Details of the charge have not been finalized. Version 10.0 will generate a report of all ABS in the position file. Long positions NOT haircut at 100% will be charged at a rate specified by the user in the INI file. An ABS Liquidity Report will be generated. Latest word is the charge would be 4%: please verify the proper charge and implementation date with FINRA

Hedging Logic

Traditionally FI has hedged securities regardless of currency code. At the users options (using an INI switch), securities can now ONLY be hedged against other securities of the same currency as determined by the foreign currency field in the position file.

Marketability

The market relief file has been expanded to include fields indicating if the common symbol in the file is Exchange Traded common stock, common stock in the S&P500, and/or common stock in the FTSE World Index. These additional fields allow proper market relief treatment for 144A and Non 144A securities. Any users that currently utilize the market relief file will have to populate the additional fields to qualify for this relief.

Pari Passu relief can be given via the issuance size matrix if another bond from the same issuer meets certain requirements. 144A securities qualify if they have two ratings in the top four on another issue of the issuer. Non 144A will qualify if two ratings on another issue of the issuer are found. The system now accepts a Pari Passu Ratings Relief file as an input to recognize this relief.

Users now have the option of excluding 144A securities from the issuance matrix if they only have two or more non investment grade ratings.

Miscellaneous Changes

The Investment Grade Report can now be exported to a CSV file.

All reports can now be produced as ASCII report files.

Bloomberg Ratings request file has been updated to use proper fieldname for Dominion - RTG-DBRS.

Bloomberg now offers expected ratings. While these ratings CAN NOT be used to provide haircut relief, the system will store these ratings for documentation purposes ONLY. Any rating that comes into the system with a lowercase 'e' will be treated as an expected rating and ignored in computing relief.